Title: Entropy measures in building Markowitz's efficient frontier: Evidence form Warsaw stock exchange
Authors: Rumiana Gorska - Warsaw School of Economics (Poland) [presenting]
Abstract: The entropy of a probability distribution is a measure of the uncertainty of the distribution. The purpose is to compare efficient frontier build on different measures of entropy with Markowitz's mean-covariance efficient frontier. For this purpose, the efficient frontier and the corresponding entropy-based frontier is built for 30 corner portfolios. Two non-overlapping periods are considered: from 1.01.2000 to 31.12.2007 and from 1.01.2008 to 30.08.2018.